AMFAX vs. SPY
Compare and contrast key facts about AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and SPDR S&P 500 ETF (SPY).
AMFAX is managed by Blackrock. It was launched on Jul 30, 2010. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AMFAX or SPY.
Key characteristics
AMFAX | SPY | |
---|---|---|
YTD Return | 9.52% | 5.46% |
1Y Return | 5.98% | 22.99% |
3Y Return (Ann) | 8.75% | 7.85% |
5Y Return (Ann) | 9.65% | 13.16% |
10Y Return (Ann) | 6.11% | 12.40% |
Sharpe Ratio | 0.65 | 1.97 |
Daily Std Dev | 9.58% | 11.75% |
Max Drawdown | -28.58% | -55.19% |
Current Drawdown | -11.37% | -4.48% |
Correlation
The correlation between AMFAX and SPY is 0.18, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
AMFAX vs. SPY - Performance Comparison
In the year-to-date period, AMFAX achieves a 9.52% return, which is significantly higher than SPY's 5.46% return. Over the past 10 years, AMFAX has underperformed SPY with an annualized return of 6.11%, while SPY has yielded a comparatively higher 12.40% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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AMFAX vs. SPY - Expense Ratio Comparison
AMFAX has a 1.72% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
AMFAX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and SPDR S&P 500 ETF (SPY). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Dividends
AMFAX vs. SPY - Dividend Comparison
AMFAX's dividend yield for the trailing twelve months is around 0.28%, less than SPY's 1.35% yield.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
AlphaSimplex Managed Futures Strategy Fund Class A | 0.28% | 0.30% | 32.70% | 5.74% | 3.14% | 6.12% | 1.31% | 0.00% | 0.00% | 4.92% | 13.32% | 0.00% |
SPDR S&P 500 ETF | 1.35% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
AMFAX vs. SPY - Drawdown Comparison
The maximum AMFAX drawdown since its inception was -28.58%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for AMFAX and SPY. For additional features, visit the drawdowns tool.
Volatility
AMFAX vs. SPY - Volatility Comparison
The current volatility for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) is 2.81%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.26%. This indicates that AMFAX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.